Some of them have nothing to say and other's have copious amounts. Don't bother taking the female mage at Winterhold. She never says a word. Mjoll is fun, Marcurio is cool, Lydia is kinda dull but I still love her, and I'm getting ready to try the priest/mage that can be found in Dawnstar. I still need to take Marcurio to a dwemer ruin too.